You can connect the capacitors at any voltage. The VARs will feed back through the transformer(s). If the capacitors are on 11 kV or on 440 V, you may have to go a little leading to get 100% at 33 kV.
In some countries, I believe that India is one such country, power factor penalties start at 99% PF, lagging or leading. If that is the case, you should consider a power factor controller. You want to be at 100% power factor at whatever voltage the utility is metering to determine the PF penalties.
In many jurisdictions the penalties start at 90 % lagging power factor and correction needs only be to bring the power factor above 90%.
Power factor, when penalized at below 90%, is often based on monthly KWHr and monthly KVARHr readings. You just have to bring the average up.
Bill
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"Why not the best?"
Jimmy Carter